A Probabilistic Least-Mean-Squares Filter

Jesus Fernandez-Bes; Víctor Elvira; Steven Van Vaerenbergh

doi:10.1109/icassp.2015.7178361

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arXiv · 1501.06929

A Probabilistic Least-Mean-Squares Filter

Jesus Fernandez-Bes·Víctor Elvira·Steven Van Vaerenbergh

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Abstract

We introduce a probabilistic approach to the LMS filter. By means of an efficient approximation, this approach provides an adaptable step-size LMS algorithm together with a measure of uncertainty about the estimation. In addition, the proposed approximation preserves the linear complexity of the standard LMS. Numerical results show the improved performance of the algorithm with respect to standard LMS and state-of-the-art algorithms with similar complexity. The goal of this work, therefore, is to open the door to bring some more Bayesian machine learning techniques to adaptive filtering.

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BibTeX RIS

Jesus Fernandez-Bes, Víctor Elvira, Steven Van Vaerenbergh. 2015-01-27. A Probabilistic Least-Mean-Squares Filter. https://doi.org/10.1109/icassp.2015.7178361

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